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Major Bearish Block Trade in the Financial Select Sector SPDR ETF (XLF)

May 20, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

Major Stock Block Trades From Friday

Bullish
  • NIO Buyer 20,000 May 31st 4 calls (paid $.63, opening, ref. 4.58) 
  • TIF Seller 9,600 Nov 70 puts (untied, collects $1.00, ref. 96.91)
Bearish
  • SWN Seller 55,700 May 24th 3.5 puts to Buy 50,000 Jun 3.5 puts (rolls out, paid $.065, ref. 3.99) 
  • RDFN Buyer 7,500 Aug 17 puts (paid $1.55, ref. 17.26) 

Major ETFs Block Trades From Friday

Bullish
  • VIX Seller 32,000 Jun 26th 25 calls (collects $.50, ref. 16.80 (Jun 26th) 
Bearish
  • XLF Seller 47,000 Jun 28 calls (collects $.15, possibly closing, ref. 27.05) 

Implied Volatility Data For Liquid Macro Index ETFs

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Name Ticker 1-Month IV 1-Month IV Percentile 3-Month IV 3-Month IV Percentile 3-Month/1-Month IV 3-Month/1-Month IV
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
S&P 500 ETF Trust SPY 13.44 64.68% 13.9 63.29% 1.03 27.98% 35.32% 70.63%
Invesco QQQ Trust QQQ 17.75 59.92% 17.63 59.52% 0.99 34.72% 47.62% 84.13%
iShares Russell 2000 ETF IWM 17.64 67.06% 18 70.63% 1.02 53.77% 27.38% 56.35%
SPDR EURO STOXX 50 ETF FEZ 15.26 57.54% 15.08 45.24% 0.99 37.7% 45.63% 76.98%
iShares MSCI Emerging Markets ETF EEM 19.15 64.68% 18.58 52.58% 0.97 22.42% 58.73% 86.11%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Expensive 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Teucrium Corn Fund CORN 29.1 27 100.00% 100.00% 72.62% 94.84%
iShares MSCI Europe Financials ETF EUFN 27.05 20.94 94.05% 83.73% 94.05% 90.48%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.99 28.93 88.10% 88.49% 98.41% 77.78%
iShares MSCI Australia ETF EWA 21.12 17.54 83.73% 66.87% 90.87% 96.83%
iShares Edge MSCI Min Vol EAFE ETF EFAV 14.24 11.55 82.94% 63.49% 80.56% 86.11%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with most Expensive 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Teucrium Corn Fund CORN 29.1 27 100.00% 100.00% 72.62% 94.84%
iPath Series B Bloomberg Coffee Subindex Total Return ETN JO 28.99 28.93 88.10% 88.49% 98.41% 77.78%
Direxion Daily Junior Gold Miners Index Bull 3X Shares JNUG 81.16 85.81 61.11% 86.11% 53.17% 64.68%
Invesco Senior Loan ETF BKLN 9.9 8.78 76.98% 83.93% 62.30% 38.49%
iShares MSCI Europe Financials ETF EUFN 27.05 20.94 94.05% 83.73% 94.05% 90.48%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Expensive 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
A. O. Smith Corporation AOS 39.39 33.5 98.02% 92.46% 41.67% 94.05%
L Brands, Inc. LB 54.94 45.36 95.24% 89.29% 79.37% 87.70%
Hormel Foods Corporation HRL 29.99 25.25 94.25% 89.09% 92.86% 96.43%
The Gap, Inc. GPS 49.3 41.88 92.86% 91.67% 82.54% 44.05%
AutoZone, Inc. AZO 32.31 26.79 90.48% 57.14% 98.02% 88.89%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with most Expensive 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Mylan N.V. MYL 37.75 43.45 67.46% 98.02% 0.40% 2.78%
Centene Corporation CNC 39.78 38.67 89.29% 92.86% 41.27% 41.67%
A. O. Smith Corporation AOS 39.39 33.5 98.02% 92.46% 41.67% 94.05%
The Gap, Inc. GPS 49.3 41.88 92.86% 91.67% 82.54% 44.05%
Skyworks Solutions, Inc. SWKS 37.15 37.43 75.40% 90.87% 30.16% 57.94%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with Cheapest 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Alerian MLP ETF AMLP 14.62 16.54 0.40% 5.95% 4.37% 51.59%
Invesco CurrencyShares Canadian Dollar Trust FXC 4.96 5.46 0.79% 2.98% 69.05% 51.19%
iShares Silver Trust SLV 13.77 14.98 1.19% 8.13% 30.95% 30.56%
ProShares UltraShort Gold GLL 16.79 18 3.17% 6.75% 56.35% 31.75%
ProShares UltraShort Euro EUO 10.24 11.06 5.56% 6.15% 94.05% 86.51%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

ETFs with Cheapest 3-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
SPDR Gold Trust GLD 8.81 8.71 15.28% 0.79% 70.63% 24.60%
iShares 20+ Year Treasury Bond ETF TLT 8.79 8.15 24.80% 2.78% 72.62% 3.57%
Invesco CurrencyShares Canadian Dollar Trust FXC 4.96 5.46 0.79% 2.98% 69.05% 51.19%
Direxion Daily 20+ Year Treasury Bear 3X Shares TMV 24.55 25.7 7.54% 4.76% 50.40% 6.35%
Invesco CurrencyShares Euro Trust FXE 5.37 5.7 6.35% 5.16% 94.44% 75.79%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with Cheapest 1-Month Volatility (Percentile)

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Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
The Hershey Company HSY 13.64 17.96 0.40% 12.30% 9.52% 84.92%
Celgene Corporation CELG 12.95 13.71 0.79% 3.57% 59.52% 12.70%
Consolidated Edison, Inc. ED 12.49 14.12 0.79% 2.38% 31.75% 89.68%
Chipotle Mexican Grill, Inc. CMG 21.46 25.57 1.19% 2.98% 27.78% 94.44%
Everest Re Group, Ltd. RE 16.39 16.72 1.19% 1.19% 7.94% 39.29%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Stocks with Cheapest 3-Month Volatility (Percentile)

On Mobile/Tablet scroll to the right.

Name Ticker 1-Month Implied Volatility 3-Month Implied Volatility 1-Month
Percentile
3-Month
Percentile
1-Month Percentile for Implied-Realized Spread 3-Month Percentile for Implied-Realized Spread
Macy's, Inc. M 33.07 36.82 19.05% 0.40% 61.51% 91.27%
Cboe Global Markets, Inc. CBOE 18.36 19.07 1.59% 0.79% 62.70% 61.51%
NiSource Inc. NI 13.11 14.1 1.39% 0.79% 30.95% 92.46%
Red Hat, Inc. RHT 3.72 4.94 2.78% 1.19% 32.54% 72.22%
Assurant, Inc. AIZ 20.61 21.23 4.96% 1.19% 18.25% 33.73%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

Global Stock Indice Price Returns

 

 

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